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benniewang · 2019年12月03日

问一道题:NO.PZ2015121810000002

问题如下:

Last year the return on Harry Company stock was 5 percent. The portion of the return on the stock not explained by a two-factor macroeconomic factor model was 3 percent. Using the data given below, calculate Harry Company stock’s expected return.

Macroeconomic Factor Model for Harry Company Stock

选项:

解释:

In a macroeconomic factor model, the surprise in a factor equals actual value minus expected value. For the interest rate factor, the surprise was 2 percent; for the GDP factor, the surprise was 3 percent. The intercept represents expected return in this type of model. The portion of the stock’s return not explained by the factor model is the model’s error term.

5% = Expected return  1.5(Interest rate surprise) + 2(GDP surprise) + Error term

= Expected return  1.5(2%) + 2(3%) + 3%

= Expected return  6%

Rearranging terms, the expected return for Harry Company stock equals 5% + 6% = 11%.

题目没有正常显示

2 个答案

Addison · 2020年01月21日

为啥问答题都没地方写答案

星星_品职助教 · 2020年01月21日

问答题我记得是直接显示答案的,可以问一下技术。二级总体而言问答题不是特重要,因为考死不会以这个形式考,看下知识点就可以。

星星_品职助教 · 2019年12月05日

同学你好,也是问答题哈,不知道上次回复怎么没回上。。

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NO.PZ2015121810000002 问题如下 Last yethe return on Harry Company stow5 percent. The portion of the return on the stonot explainea two-factor macroeconomic factor mol w3 percent. Using the ta given below, calculate Harry Company stock’s expectereturn. Macroeconomic Factor Mol for Harry Company Stock(备注课后题原题,虽然题目形式是问答题,但是建议不用纠结题目形式,了解题目考查角度即可) In a macroeconomic factor mol, the surprise in a factor equals actuvalue minus expectevalue. For the interest rate factor, the surprise w2 percent; for the G factor, the surprise w–3 percent. The intercept represents expectereturn in this type of mol. The portion of the stock’s return not explainethe factor mol is the mol’s error term.5% = Expectereturn – 1.5(Interest rate surprise) + 2(G surprise) + Error term= Expectereturn – 1.5(2%) + 2(–3%) + 3%= Expectereturn – 6%Rearranging terms, the expectereturn for Harry Company stoequals 5% + 6% = 11%. 老师,请问为什么预期收益=5%+6%呢?怎么理解呀

2024-05-27 16:00 1 · 回答

NO.PZ2015121810000002 同上 不显示

2021-09-23 16:42 1 · 回答

NO.PZ2015121810000002 这个Macroeconomic Factor Mol的两个Factor,不是G Surprise和Inflation Surprise吗?

2021-07-05 08:16 2 · 回答

请问g surprise -3怎么得到的

2020-10-15 09:38 1 · 回答

The portion of the return on the stonot explainea two-factor macroeconomic factor mol w3 percent.请问这句话为什么是error term哈?不是特别理解

2020-03-09 19:41 1 · 回答